Single Gateway Failure

Gateway Behavior

When a single LSE Gateway fails during
trading hours, updated Order Book information is not available until
the LSE Gateway reconnects to the exchange, and traders cannot submit
orders via the LSE Gateway. All orders currently in the market remain
as working orders. If traders want to cancel their orders, they must
call the exchange.

Gateway Recovery: Prices

After it is restarted after a failure, the Price Server goes
through the normal price feed connection process as described in Price Server Data Flow.

Gateway Recovery: Order Routers

Order Routers exist on the LSE Gateway as
threads in the Order Server. If an Order Router loses its connection,
the Order Server restarts it.

When an Order Router thread loses its connection to LSE,
it begins the recovery process detailed below. If at anytime the
Order Router regains its connection, it begins communicating with
the exchange as normal and the recovery process stops:

The Order Router attempts to reconnect to the IP
address and port set in the ExchangeIP and ExchangePort parameters

The Order Router continues the reconnect attempts until
the connection is established.

While Order Routers cycle, they appear in Guardian in a “feed
down” state.

Gateway Recovery: Orders

When X_TRADER® reconnects to the LSE Gateway,
it automatically requests all Order Book information. Since the LSE host
queues all messages that occur while the LSE Gateway is disconnected,
no order or fill information is lost. However, LSE only sends order
and fill information for the current session -- orders and fills
from previous sessions are not sent to the LSE Gateway.

When the Order Server starts, it determines the current Order
Book from the *_Mode_orders.tbl files. After reading into memory
the contents of these files, the Order Server deletes them and creates
a new set of *_Mode_orders.tbl files. Only active orders (i.e.,
working or partially filled orders) are included in the new files.

Because the Order Server logs all order activity to the *_Mode_orders.tbl
files, file size depends upon the volume of trading activity prior
to the failure (i.e., the more the trading activity, the larger
the file). Large *_Mode_orders.tbl files can slow Order Server startup
by up to several minutes.

Warning

Because *_Mode_orders.tbl files contain
a log of all Order Server activity, do not delete them! Doing so
destroys the LSE Gateway’s records regarding order book information
(i.e., while orders remain active in the market, traders cannot
access them through the LSE Gateway to change or delete them).

Gateway Recovery: Fills

After the LSE Gateway begins accepting
fills again, X_TRADER® refreshes the Fill window by downloading
the fill information stored in the *.bof file (located
in
<root drive>:ttdatfiles). Additionally, while the LSE Gateway is
down, LSE queues any fills that occur. When the gateway reconnects, LSE sends
these fills.

Warning

If you lose the Order Book on the Order
Server for the current session, any missed fills for those orders
are reported to the Administrator. However, fills for orders entered
from previous sessions (e.g., GTC orders) are not recorded by the gateway,
because MX only provides order information for the current session affected
by the recovery. In other words, the gateway cannot verify if orders
from a previous session are filled.

Gateway Recovery: Hardware

After you replace any failed hardware
and restart the LSE Gateway, recovery processes are identical to
those listed for Gateway Software Recovery.

However, if the hard drive is replaced, traders are unable
to access any of their order or fill information as the relevant
log and table files are permanently lost. Traders must call the
exchange and cancel their working orders. If the trader has an open
position and must close it, he must do so through a broker.

Example Scenario 1 - Single LSE Gateway

Quick Financial Services (QFS) has one LSE Gateway.
During trading hours, their gateway experiences a drive head crash,
and immediately, all traders lose their connection to the exchange.
The exchange displays red in Guardian, prices stop updating, and
traders stop receiving fills. Even if they have X_TRADER® open, traders
lose the ability to trade on LSE. Before closing out of their
workspaces, traders document their positions. Traders, who must
cancel orders, call the exchange.

QFS installs and starts up another LSE Gateway that same day.
After startup, traders log into the new LSE Gateway, open up workspaces
and grids, and begin trading at current market prices.

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